STIRs on LIFFE - Euribor, Short Sterling, Euroswiss

Discussion in 'Financial Futures' started by Cutten, Nov 27, 2003.

  1. Cutten


    Anyone trade the short term interest rate futures on LIFFE? I've always traded outrights in the bonds & stocks, so my knowledge of them is limited, but I'm keen to find out more. Any discussion would be most welcome.
  2. Cutten


    I tried trading the Euroswiss, Euribor and Short Sterling today and yesterday. Doing 25 lots just to start off. Stats:

    Short Sterling - 108 round trips, 32 ticks profit = £400 = $689
    Euroswiss - 366 round trips, 49 ticks profit = CHF1225 = $949
    Euribor - 7 round trips, 0 ticks (I didn't look much at this market)

    Total 481 round trips, commission approx £500 ($950). So basically I made just under $700, paying more than that in commissions. If I traded it regularly on proper size (e.g. 100 lots), the commissions would be less than half that, and I'd probably have less crappy scratch trades, but still the commission overheads are significant compared to bonds or stocks.

    Most of the profits came from two or three trades. I think in these markets it would be best to be very selective - there seemed to be a couple of times each day where a good trade presented itself, and the rest of the day it was just fake half-opportunities which create a lot of stress & commissions, but overall are losers after transactions costs. There were a couple of trades I just missed which would have made an extra couple of ticks - with more experience I think I could pick up some of those.

    Overall, I think these markets are worth investigating - there seems to be the potential to make a good trading income without too much volatility. I made several mistakes and still managed to come out ahead, and I have little clue about spreads or the relative behaviour of the different contract months. Someone who really studied these markets could probably do very well.

    The downside is that it was mind-numbingly boring just watching all these spreads and contract months trade sporadically. I was trading the Bund & Bobl at the same time and that was much more fun, and also more profitable per contract. Commissions are about 40% cheaper. So I think I will stick with the bond futures, and look to improve my skills & increase size there, rather than trying to learn a whole new market from scratch.
  3. just21


    Do you look at the charts or were you scalping? You could lower costs by opening an account with a trading arcade In London or Chicago.
  4. $ 350 per day on about 240 round trips (isn't your head spinning ?) There has to be a way to do the same in less than 5 RT per day. Well in some other markets at least don't know anything about these products. Lowering your costs in a London trading arcade? How about a 1000 pound desk fee to start with? ooh charting software and internet is not included, just add another few hundreds!
  5. Cutten


    I was just watching the different calendar months and trying to identify ones that were temporarily a bit out of whack with the others. E.g. if Mar04 and Jun 04 started hitting their bids, then traded out and went offered, I would offer Sep 04 and also go bid on Mar and Jun. If the Mar/Jun then built up good offers and started trading on the next bid down, I would hit the Sep bid.

    Regarding costs, they are high because I don't normally trade on LIFFE, so I'm starting from 0 contracts for this month. If I were to trade them full time doing reasonable volume, the commissions would go down to about 40p per round trip.

    Also as I mentioned above, I am inexperienced with these contracts so I ended up chasing a lot of edges that weren't actually there. I could probably have got the same results or better by cutting my volume 75%.
  6. just21


    Who do you trade with?